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Vanguard Ohio Tax-Free Funds – ‘NSAR-A’ for 5/31/14

On:  Monday, 7/28/14, at 4:34pm ET   ·   Effective:  7/28/14   ·   For:  5/31/14   ·   Accession #:  932471-14-6240   ·   File #:  811-06083

Previous ‘NSAR-A’:  ‘NSAR-A’ on 7/26/13 for 5/31/13   ·   Next:  ‘NSAR-A’ on 7/28/15 for 5/31/15   ·   Latest:  ‘NSAR-A’ on 7/28/17 for 5/31/17

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  As Of               Filer                 Filing    For·On·As Docs:Size             Issuer                      Filing Agent

 7/28/14  Vanguard Ohio Tax-Free Funds      NSAR-A      5/31/14    2:12K                                    Vanguard Horizon FundsVanguard Ohio Long-Term Tax-Exempt Fund Investor Shares (VOHIX)Vanguard Ohio Tax-Exempt Money Market Fund Investor Shares (VOHXX)

Semi-Annual Report by an Investment Company   —   Form N-SAR   —   ICA’40
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: NSAR-A      Vanguard Ohio Tax Free Funds                          11     47K 
 2: EX-99       Suppplemental Data Q773                                2      4K 


‘NSAR-A’   —   Vanguard Ohio Tax Free Funds




SEC Info rendering:  Data from the Answer File, which may only contain updates to a prior Form N-SAR


Form N-SAR
 
Semi-Annual Report by an Open-End Investment Company
 
Report 
 
      Registrant:   Vanguard Ohio Tax-Free FundsList all N-SARs

Semi-Annual Report (at mid-year) for the 1st-half period ended:  5/31/14

Were there any Answer File errors in the Filing?  None Found
Was the Answer File completed by the Registrant?  Yes

Is this an Amendment to a previous Report?  No
Is this a change to a previous Report?      No
 
Registrant 
 
 1.SEC CIK:      862341
SEC File #:   811-06083

Telephone #:  610-669-1000
 
 2.Address:      100 Vanguard Boulevard
              Malvern, PA  19355
 
 3.Is this the first Form N-SAR filed by the Registrant?  No
 
 4.Is this the final Form N-SAR filed by the Registrant?  No
 
 
Funds/Series Top of Form N-SAR 
                                                                                    
 7.Is the Registrant a Funds/Series (multiple portfolios) company?  Yes

The number of separate Funds/Series (portfolios) at period end:  2
The number of separate Funds/Series (portfolios) reported here: 2...

N-SAR S#      Fund/Series — Filings for F/S#… Symbols 
 
Information Common to All 
Series 1:     Vanguard Ohio Long-Term Tax-Exempt FundS#2908  VOHIX
Series 2:     Vanguard Ohio Tax-Exempt Money Market FundS#2909  VOHXX
 
Family of Investment Companies 
 
19.Is the Registrant/Series part of a “family” of investment companies?  Yes

Total number of registered management investment companies, Series
and portfolios (excluding any Unit Investment Trusts) in the family:  177

The Identification Code of the family for Form N-SAR Filings:  VANGUARDGR
 
Investment Company Type 
 
27.Is the Registrant an “open-end” investment company?  Yes, Open-End
 
Additional Disclosures 
 
77.Did the Registrant file any additional Exhibits with the filing of this
Report (listed here and filed either herewith — as one of the ‘EX-99.*’
Exhibits in this Filing — or separately and incorporated by reference)?  Yes

EX-99.77Q1: Other DisclosureYes

EX-99.77Q3: Other InfoYes
 
Subsidiaries 
 
78.Does the Registrant have any wholly-owned investment company
subsidiaries whose operating and financial data are consolidated with
that of the Registrant in this Report?  No
 
 All SeriesList of 2 Funds/Series Reported Here 

Information Common to All Funds/Series
 
 All: Investment Adviser 
 
 8.1Name:         The Vanguard Group, Inc.
Role:         Adviser
SEC File #:   801-11953
Location:     Malvern, PA
 
 All: Administrator 
 
10.1Name:         The Vanguard Group, Inc.
SEC File #:   801-11953
Location:     Malvern, PA
 
 All: Principal Underwriter 
 
11.1Name:         Vanguard Marketing Corp.
SEC File #:   008-21570
Location:     Malvern, PA
 
 All: Shareholder Servicing/Transfer Agent 
 
12.1Name:         The Vanguard Group, Inc.
SEC File #:   084-00772
Location:     Malvern, PA
 
 All: Independent Public Accountant 
 
13.1Name:         Pricewaterhousecoopers LLP
Location:     Philadelphia, PA
 
 All: Affiliated Broker/Dealer 
 
14.1Name:         Vanguard Marketing Corp.
SEC File #:   008-21570
 
 All: Custodian 
 
15.1Name:         State Street Bank & Trust Co.
Role:         Custodian
Location:     Boston, MA

Type of custody:  Section 17(f)(1) — Bank
 
18.Does the Registrant’s/Series’ Custodian(s) maintain some or all of the
Registrant’s/Series’ securities in a central depository or book-entry
system pursuant to Rule 17f-4?  Yes
 
 All: Brokerage Commissions Paid on Portfolio Transactions 
 
20.The brokers who received the largest amount of gross brokerage
commissions during the period:
 
20.1Broker:       Barclays Capital Inc.
IRS #:        13-3410233
Commissions paid ($000s)3
 
21.Total brokerage commissions paid by the Registrant during the period:
  Aggregate paid ($000s)3
 
 All: Portfolio Transactions with Entities Acting as Principals 
 
22.The entities acting as principals with whom the Registrant did the
largest amount of portfolio transactions, based on total value of
principal, during the period:
 
22.1Entity:       Wells Fargo Securities, LLC
IRS #:        94-3379992
Registrant’s purchases ($000s)64,300
Registrant’s sales ($000s)56,108
 
22.2Entity:       Morgan Stanley
IRS #:        13-2655998
Registrant’s purchases ($000s)75,226
Registrant’s sales ($000s)27,427
 
22.3Entity:       Barclays Capital Inc.
IRS #:        13-3410233
Registrant’s purchases ($000s)48,030
Registrant’s sales ($000s)38,799
 
22.4Entity:       Vanguard Intermediate-Term Tax Exempt Fund
IRS #:        23-2471389
Registrant’s purchases ($000s)17,400
Registrant’s sales ($000s)34,835
 
22.5Entity:       Vanguard Short-Term Tax-Exempt Fund
IRS #:        23-2022170
Registrant’s purchases ($000s)21,695
Registrant’s sales ($000s)20,120
 
22.6Entity:       Vanguard Ohio Tax-Exempt Money Market Fund
IRS #:        23-2601140
Registrant’s purchases ($000s)21,995
Registrant’s sales ($000s)19,160
 
22.7Entity:       Vanguard Ohio Long-Term Tax-Exempt Fund
IRS #:        23-2601142
Registrant’s purchases ($000s)19,160
Registrant’s sales ($000s)21,995
 
22.8Entity:       Merrill Lynch, Pierce, Fenner & Smith Inc.
IRS #:        13-5674085
Registrant’s purchases ($000s)28,440
Registrant’s sales ($000s)3,674
 
22.9Entity:       Citigroup Global Markets, Inc.
IRS #:        13-2919773
Registrant’s purchases ($000s)17,191
Registrant’s sales ($000s)14,736
 
22.10Entity:       PNC Capital Markets, Inc.
IRS #:        25-1471636
Registrant’s purchases ($000s)25,690
Registrant’s sales ($000s)3,982
 
23.Total purchase/sale transactions by the Registrant during the period:
   Aggregate purchases ($000s)505,391
   Aggregate sales ($000s)374,879
 
 All: Holdings of Securities Issued by Registrant’s/Series’ Brokers or Dealers 
 
24.At period end, did the Registrant/Series hold any securities of the
Registrant’s/Series’ regular brokers or dealers, or of the parents of
such brokers or dealers, that derive more than 15% of gross revenue from
securities-related activities?  No
 
 All: Considerations which Affected the Participation of Brokers or Dealers 
 
26.Considerations which affected the participation of brokers or dealers or
other entities in commissions or other compensation paid on portfolio
transactions of the Registrant:

Consideration?
Sales of the Registrant’s/Series’ shares ...............................  No
Receipt of investment research and statistical info ....................  Yes
Receipt of quotations for portfolio valuations .........................  No
Ability to execute portfolio transactions to obtain the best price
  and execution ........................................................  Yes
Receipt of telephone line and wire services ............................  No
Broker or Dealer which is an affiliated person .........................  No
An arrangement to return or credit part or all of commissions or
  profits thereon...
    To an Investment Adviser or Principal Underwriter, or to an
      affiliated person of either ......................................  No
    To the Registrant ..................................................  No
Other ..................................................................  No
 
 All: Sales Load (Front-End or Deferred) and Fees (Redemption or Maintenance) 
 
29.Was a front-end sales load deducted from any share sales during the
period?  No
 
34.Did the Registrant/Series impose a deferred or contingent deferred sales
load during the period?  No
 
37.Did the Registrant/Series impose a redemption fee other than a deferred
or contingent sales load during the period?  No
 
39.Were any account maintenance fees or other administrative fees imposed
directly on shareholders during the period?  Yes
 
 All: Payment Plan for the Distribution of Fund Shares 
 
40.During the period, did the Registrant/Series have a plan of distribution
adopted pursuant to Rule 12b-1?  No
 
 All: Advisory Fee 
 
45.Did the Registrant/Series have an advisory contract during the period?  No
 
 All: Classification and Asset Allocation 
 
66.Is the Registrant/Series a Fund that usually invests in equity
securities, options & futures on equity securities, indices of equity
securities or securities convertible into equity securities?  No
 
67.Is the Registrant/Series a “balanced” Fund?  No
 
68.Does the Registrant/Series have more than 50% of its net assets at
period end invested in the securities of issuers...
    Engaged primarily in production or distribution of precious metals?  No
    Located primarily in countries other than the United States?  No
 
69.Is the Registrant/Series an index Fund?  No
 
 Series 1Information Common to All Funds/Series  List of 2 Funds/Series 
 
 7.Name:         Vanguard Ohio Long-Term Tax-Exempt FundS#2908  VOHIX

Is this the final Form N-SAR filed for this Fund/Series?  No
 
 S 1: Sales and Repurchases 
 
28.Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
 
1st Month of period:  ($000s)
    Total NAV of shares sold:
      New sales (including exchanges) ............................
6,535
      Reinvestment of dividends and distributions ................ 4,816
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 33,870
2nd Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
9,490
      Reinvestment of dividends and distributions ................ 1,987
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 18,155
3rd Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
10,634
      Reinvestment of dividends and distributions ................ 1,782
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 6,556
4th Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
7,831
      Reinvestment of dividends and distributions ................ 1,952
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 8,659
5th Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
10,695
      Reinvestment of dividends and distributions ................ 1,898
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 8,854
6th Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
9,634
      Reinvestment of dividends and distributions ................ 1,939
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 6,025

Total of all months:  ($000s)
    Total NAV of shares sold:
      New sales (including exchanges) ............................
54,819
      Reinvestment of dividends and distributions ................ 14,374
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 82,119

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s)0
 
 S 1: Miscellaneous Info 
 
55.Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
    Overdrafts?  No
    Bank loans?  No
 
56.During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies?  Yes
 
57.Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend?  No
 
 S 1: Classification and Asset Allocation 
 
58.Is the Registrant/Series a Separate Account of an insurance company?  No
 
59.Is the Registrant/Series a management investment company?  Yes
 
60.Was the Registrant/Series a diversified investment company at any time
during the period?  Yes

Was the Registrant/Series a diversified investment company at the end of
the period?  Yes
 
61.The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity:  $3,000
 
62.Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities?  Yes

The percentage of net assets in each type at period end:

Debt — Short-Term Maturities
U.S. Treasury ...............................      0.0%
U.S. Government Agency ......................      0.0
Repurchase agreements .......................      0.0
State and Municipal – tax-free ..............    10.6
Bank certificates of deposit – domestic .....      0.0
Bank certificates of deposit – foreign ......      0.0
Bankers acceptances .........................      0.0
Commercial paper – taxable ..................      0.0
Time deposits ...............................      0.0
Options .....................................      0.0
All other ...................................      0.0

Debt — Intermediate & Long-Term Maturities
U.S. Treasury ...............................      0.0%
U.S. Government Agency ......................      0.0
State and Municipal – tax-free ..............    90.0
Corporate ...................................      0.0
All other ...................................      0.0

Non-Debt
Investments other than debt securities ......      0.0%
 
63.The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
    Days:     0
    Years:    6.2
 
64.Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer?  Yes

Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end?  No
 
 S 1: Investment Practices 
 
70.Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity                                            Permitted Engaged In
Writing or investing in repurchase agreements?           Yes      No
Writing or investing in options on equities?             No        
Writing or investing in options on debt securities?      Yes      No
Writing or investing in options on stock indices?        No        
Writing or investing in interest rate futures?           Yes to both
Writing or investing in stock index futures?             No        
Writing or investing in options on futures?              Yes      No
Writing or investing in options on stock index futures?  No        
Writing or investing in other commodity futures?         No        
Investments in restricted securities?                    Yes to both
Investments in shares of other investment companies?     Yes      No
Investments in securities of foreign issuers?            No        
Currency exchange transactions?                          No        
Loaning portfolio securities?                            No        
Borrowing of money?                                      Yes      No
Purchases/sales by certain exempted affiliated persons?  Yes to both
Margin purchases?                                        Yes      No
Short selling?                                           Yes      No
 
 S 1: Portfolio Turnover 
 
71.Portfolio turnover rate for the period:
 
Purchases ($000s)78,495
Sales ($000s):      110,634

Monthly average Value of portfolio ($000s)852,063

Percent turnover (lesser of Purchases or Sales, divided by Value):  9%
 
 S 1: Financial Info — Income and Expenses 
 
72.The number of months covered by the values in Items 72 and 73:  6

Income  ($000s)
Net interest income ..............................................
17,591
Net dividend income ..............................................
Account maintenance fees .........................................
Net other income .................................................

Expenses  ($000s)
Advisory fees ....................................................
41
Administrator fees ............................................... 436
Salaries and other compensation ..................................
Shareholder Servicing Agent fees ................................. 133
Custodian fees ................................................... 8
Postage ..........................................................
Printing expenses ................................................ 3
Directors’ fees ..................................................
Registration fees ................................................
Taxes ............................................................
Interest .........................................................
Bookkeeping fees paid to anyone performing this service ..........
Auditing fees ....................................................
Legal fees .......................................................
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 95
Amortization of organization expenses ............................
Shareholder meeting expenses .....................................
Other expenses ...................................................
Total expenses ................................................... 716

Expense reimbursements ($000s):   0

Net investment income ($000s):    16,875

Realized capital gains ($000s):   3,652
Realized capital losses ($000s)0

Net unrealized appreciation during the period ($000s)40,899
Net unrealized depreciation during the period ($000s)0

Total income dividends for which the record date passed during the
period ($000s)16,875

Total capital gains distributions for which the record date passed
during the period ($000s)3,623
 
73.Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income:    $0.2280

Distribution of capital gains:  $0.0490
Other distributions:            $0.0000
 
 S 1: Financial Info — Condensed Balance Sheet Data 
 
74.Assets  ($000s)
Cash ............................................................. 3
Repurchase agreements ............................................
Short-term debt securities, other than repurchase agreements ..... 99,050
Long-term debt securities, including convertible debt ............ 836,735
Preferred, conv. preferred and adjustable-rate preferred stock ...
Common stock .....................................................
Options on equities ..............................................
Options on all futures ...........................................
Other investments ................................................ 96
Receivables from portfolio instruments sold ...................... 4,134
Receivables from affiliated persons ..............................
Other receivables ................................................ 14,928
All other assets .................................................
Total assets ..................................................... 954,946

Liabilities  ($000s)
Payables for portfolio instruments purchased .....................
20,768
Amounts owed to affiliated persons ............................... 2,883
Senior long-term debt ............................................
Other liabilities:
  Reverse repurchase agreements ..................................
  Short sales ....................................................
  Written options ................................................
  All other liabilities .......................................... 1,340

Equity  ($000s)
Senior equity ....................................................
Net assets of common shareholders ................................ 929,955

Number of shares outstanding (000s):   74,487

Net Asset Value (NAV) per share (to nearest cent):  $12.48

Total number of shareholder accounts:  6,726

Total value of assets in segregated accounts ($000s)312
 
75.Monthly average net assets during the period ($000s)900,203
 
 Series 2Information Common to All Funds/Series  List of 2 Funds/Series 
 
 7.Name:         Vanguard Ohio Tax-Exempt Money Market FundS#2909  VOHXX

Is this the final Form N-SAR filed for this Fund/Series?  No
 
 S 2: Sales and Repurchases 
 
28.Monthly total Net Asset Value (NAV) of sales and repurchases of the
Registrant’s/Series’ shares:
 
1st Month of period:  ($000s)
    Total NAV of shares sold:
      New sales (including exchanges) ............................
43,748
      Reinvestment of dividends and distributions ................ 5
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 33,073
2nd Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
35,531
      Reinvestment of dividends and distributions ................ 5
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 43,477
3rd Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
24,259
      Reinvestment of dividends and distributions ................ 4
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 23,923
4th Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
19,483
      Reinvestment of dividends and distributions ................ 5
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 29,450
5th Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
21,646
      Reinvestment of dividends and distributions ................ 4
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 36,394
6th Month:
    Total NAV of shares sold:
      New sales (including exchanges) ............................
18,821
      Reinvestment of dividends and distributions ................ 5
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 22,713

Total of all months:  ($000s)
    Total NAV of shares sold:
      New sales (including exchanges) ............................
163,488
      Reinvestment of dividends and distributions ................ 28
      Other ......................................................
    Total NAV of shares redeemed & repurchased (inc. exchanges) .. 189,030

Total NAV of the Registrant’s/Series’ share sales during the period
subject to a sales load ($000s)0
 
 S 2: Miscellaneous Info 
 
55.Did the Registrant/Series have any of the following outstanding at any
time during the period which exceeded 1% of aggregate net assets:
    Overdrafts?  No
    Bank loans?  No
 
56.During the period, did the Registrant’s/Series’ Investment Adviser(s)
have advisory clients other than investment companies?  Yes
 
57.Did the Registrant/Series adjust the number of its shares outstanding by
means of a stock split or stock dividend?  No
 
 S 2: Classification and Asset Allocation 
 
58.Is the Registrant/Series a Separate Account of an insurance company?  No
 
59.Is the Registrant/Series a management investment company?  Yes
 
60.Was the Registrant/Series a diversified investment company at any time
during the period?  Yes

Was the Registrant/Series a diversified investment company at the end of
the period?  Yes
 
61.The lowest minimum initial investment required by the Registrant/Series
from an investor that is not an employee or otherwise affiliated with
the Registrant/Series, its Investment Adviser, Principal Underwriter or
other affiliated entity:  $3,000
 
62.Does the Registrant/Series invest primarily in debt securities,
including convertible debt securities, options & futures on debt
securities or indices of debt securities?  Yes

The percentage of net assets in each type at period end:

Debt — Short-Term Maturities
U.S. Treasury ...............................      0.0%
U.S. Government Agency ......................      0.0
Repurchase agreements .......................      0.0
State and Municipal – tax-free ..............  102.3
Bank certificates of deposit – domestic .....      0.0
Bank certificates of deposit – foreign ......      0.0
Bankers acceptances .........................      0.0
Commercial paper – taxable ..................      0.0
Time deposits ...............................      0.0
Options .....................................      0.0
All other ...................................      0.0

Debt — Intermediate & Long-Term Maturities
U.S. Treasury ...............................      0.0%
U.S. Government Agency ......................      0.0
State and Municipal – tax-free ..............      1.3
Corporate ...................................      0.0
All other ...................................      0.0

Non-Debt
Investments other than debt securities ......      0.0%
 
63.The dollar-weighted average portfolio maturity at period end in days or,
if longer than one year, in years (to one decimal place):
    Days:     29
    Years:    0.0
 
64.Is the timely payment of principal and interest on any of the
instruments listed in Item 62 insured or guaranteed by an entity other
than the issuer?  Yes

Is the issuer of any instrument covered in Item 62 delinquent or in
default as to payment of principal or interest at period end?  No
 
 S 2: Investment Practices 
 
70.Activities that are permitted by the Registrant’s/Series’ investment
policies, and which were engaged in during the period:

Activity                                            Permitted Engaged In
Writing or investing in repurchase agreements?           Yes      No
Writing or investing in options on equities?             No        
Writing or investing in options on debt securities?      No        
Writing or investing in options on stock indices?        No        
Writing or investing in interest rate futures?           No        
Writing or investing in stock index futures?             No        
Writing or investing in options on futures?              No        
Writing or investing in options on stock index futures?  No        
Writing or investing in other commodity futures?         No        
Investments in restricted securities?                    Yes to both
Investments in shares of other investment companies?     Yes      No
Investments in securities of foreign issuers?            No        
Currency exchange transactions?                          No        
Loaning portfolio securities?                            No        
Borrowing of money?                                      Yes      No
Purchases/sales by certain exempted affiliated persons?  Yes to both
Margin purchases?                                        No        
Short selling?                                           No        
 
 S 2: Portfolio Turnover 
 
71.Portfolio turnover rate for the period:
 
Purchases ($000s)0
Sales ($000s):      0

Monthly average Value of portfolio ($000s)0

Percent turnover (lesser of Purchases or Sales, divided by Value):  0%
 
 S 2: Financial Info — Income and Expenses 
 
72.The number of months covered by the values in Items 72 and 73:  6

Income  ($000s)
Net interest income ..............................................
307
Net dividend income ..............................................
Account maintenance fees .........................................
Net other income .................................................

Expenses  ($000s)
Advisory fees ....................................................
56
Administrator fees ............................................... 126
Salaries and other compensation ..................................
Shareholder Servicing Agent fees ................................. 202
Custodian fees ................................................... 7
Postage ..........................................................
Printing expenses ................................................ 4
Directors’ fees ..................................................
Registration fees ................................................
Taxes ............................................................
Interest .........................................................
Bookkeeping fees paid to anyone performing this service ..........
Auditing fees ....................................................
Legal fees .......................................................
Marketing/distribution payments, incl. Rule 12b-1 plan payments .. 81
Amortization of organization expenses ............................
Shareholder meeting expenses .....................................
Other expenses ...................................................
Total expenses ................................................... 476

Expense reimbursements ($000s):   199

Net investment income ($000s):    30

Realized capital gains ($000s):   0
Realized capital losses ($000s)0

Net unrealized appreciation during the period ($000s)0
Net unrealized depreciation during the period ($000s)0

Total income dividends for which the record date passed during the
period ($000s)30

Total capital gains distributions for which the record date passed
during the period ($000s)0
 
73.Distributions per share for which the record date passed during the
period, shown in fractions of a cent, if so declared:

Dividends from net investment income:    $0.0000

Distribution of capital gains:  $0.0000
Other distributions:            $0.0000
 
 S 2: Financial Info — Condensed Balance Sheet Data 
 
74.Assets  ($000s)
Cash ............................................................. 28
Repurchase agreements ............................................
Short-term debt securities, other than repurchase agreements ..... 589,925
Long-term debt securities, including convertible debt ............ 7,360
Preferred, conv. preferred and adjustable-rate preferred stock ...
Common stock .....................................................
Options on equities ..............................................
Options on all futures ...........................................
Other investments ................................................ 61
Receivables from portfolio instruments sold ...................... 4,320
Receivables from affiliated persons ..............................
Other receivables ................................................ 2,584
All other assets .................................................
Total assets ..................................................... 604,278

Liabilities  ($000s)
Payables for portfolio instruments purchased .....................
25,676
Amounts owed to affiliated persons ............................... 1,489
Senior long-term debt ............................................
Other liabilities:
  Reverse repurchase agreements ..................................
  Short sales ....................................................
  Written options ................................................
  All other liabilities .......................................... 514

Equity  ($000s)
Senior equity ....................................................
Net assets of common shareholders ................................ 576,599

Number of shares outstanding (000s):   576,444

Net Asset Value (NAV) per share (to nearest cent):  $1.00
Mark-to-market NAV per share:  $1.0003

Total number of shareholder accounts:  4,904

Total value of assets in segregated accounts ($000s)0
 
75.Daily average net assets during the period ($000s)597,523
 
 Signature  Top of Form N-SAR 
                                                                                    
/s/      William J. Gessig      
Name:   William J. Gessig
Title:  Manager

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